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<p><a href="classmodels_1_1CalibVolCurve_1_1CalibVolCurve-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">def&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmodels_1_1CalibVolCurve_1_1CalibVolCurve.html#a8ed4e4cbabd0a3641f11c5959863462c">__init__</a></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">def&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmodels_1_1CalibVolCurve_1_1CalibVolCurve.html#a88db3b2fa23a03999527b6325be4ea85">calibrate</a></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">def&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmodels_1_1CalibBase_1_1CalibBase.html#acff9c54af5c76f2db6349e494da72665">get_cal_data</a></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">def&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmodels_1_1CalibVolCurve_1_1CalibVolCurve.html#a411a46af43861f780e7ef9e38cc6ed0d">get_price_range</a></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">def&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmodels_1_1CalibBase_1_1CalibBase.html#ab9df3a3bfcfba87c5d96e54b9f94835a">get_times2_maturity</a></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">def&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmodels_1_1CalibBase_1_1CalibBase.html#abee35903e5200a02d90cf161bae1573d">set_cal_data</a></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">def&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmodels_1_1CalibBase_1_1CalibBase.html#a15578658af11bec4ed2f0efab4d69691">set_cal_method</a></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">def&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmodels_1_1CalibVolCurve_1_1CalibVolCurve.html#a1f81ab18e9b85903f4ae6441e1384693">set_grid_spacing</a></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">def&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmodels_1_1CalibBase_1_1CalibBase.html#ac435434054075cfced0f2f0ff74b9d5e">set_initial_guess</a></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">def&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmodels_1_1CalibVolCurve_1_1CalibVolCurve.html#a8b0a103dada82a4a1a53972dca6d501a">set_market_value</a></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><div class="fragment"><pre class="fragment">calibrate volatility using splines.
    Adaptive stepper using a PID controller, based on::

    @article{PIDpaper,
        author =  {A. M. P. Valli and G. F. Carey and A. L. G. A. Coutinho},
        title =   {Control strategies for timestep selection in finite element
                   simulation of incompressible flows and coupled
                   reaction-convection-diffusion processes},
        journal = {Int. J. Numer. Meth. Fluids},
                   volume =  47,
                   year =    2005,
                   pages =   {201-231},
    }
</pre></div> 
<p>Definition at line <a class="el" href="CalibVolCurve_8py_source.html#l00040">40</a> of file <a class="el" href="CalibVolCurve_8py_source.html">CalibVolCurve.py</a>.</p>
</div><hr/><h2>Constructor &amp; Destructor Documentation</h2>
<a class="anchor" id="a8ed4e4cbabd0a3641f11c5959863462c"></a><!-- doxytag: member="models::CalibVolCurve::CalibVolCurve::__init__" ref="a8ed4e4cbabd0a3641f11c5959863462c" args="" -->
<div class="memitem">
<div class="memproto">
      <table class="memname">
        <tr>
          <td class="memname">def models::CalibVolCurve::CalibVolCurve::__init__ </td>
          <td>(</td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>self</em></td><td>)</td>
          <td></td>
        </tr>
      </table>
</div>
<div class="memdoc">
<div class="fragment"><pre class="fragment">instantiate an object of type CalibVolCurve. </pre></div> 
<p>Reimplemented from <a class="el" href="classmodels_1_1CalibBase_1_1CalibBase.html#a26b1cc8dda5ce4aa41a2cc18364f0456">models::CalibBase::CalibBase</a>.</p>

<p>Definition at line <a class="el" href="CalibVolCurve_8py_source.html#l00059">59</a> of file <a class="el" href="CalibVolCurve_8py_source.html">CalibVolCurve.py</a>.</p>

<p>References <a class="el" href="CalibVolCurve_8py_source.html#l00059">log_progress</a>, <a class="el" href="CalibVolCurve_8py_source.html#l00154">m_indx</a>, <a class="el" href="CalibVolCurve_8py_source.html#l00059">m_lagrange1</a>, <a class="el" href="CalibVolCurve_8py_source.html#l00059">m_lagrange2</a>, <a class="el" href="CalibVolCurve_8py_source.html#l00059">m_market_val</a>, <a class="el" href="CalibVolCurve_8py_source.html#l00059">m_ntime_steps</a>, and <a class="el" href="CalibVolCurve_8py_source.html#l00154">m_time_spacing</a>.</p>

</div>
</div>
<hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="a88db3b2fa23a03999527b6325be4ea85"></a><!-- doxytag: member="models::CalibVolCurve::CalibVolCurve::calibrate" ref="a88db3b2fa23a03999527b6325be4ea85" args="" -->
<div class="memitem">
<div class="memproto">
      <table class="memname">
        <tr>
          <td class="memname">def models::CalibVolCurve::CalibVolCurve::calibrate </td>
          <td>(</td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>self</em></td><td>)</td>
          <td></td>
        </tr>
      </table>
</div>
<div class="memdoc">
<div class="fragment"><pre class="fragment">calibrate model. </pre></div> 
<p>Definition at line <a class="el" href="CalibVolCurve_8py_source.html#l00154">154</a> of file <a class="el" href="CalibVolCurve_8py_source.html">CalibVolCurve.py</a>.</p>

<p>References <a class="el" href="CalibBase_8py_source.html#l00124">models::CalibBase::CalibBase::_calibrate()</a>, <a class="el" href="CalibBase_8py_source.html#l00088">models::CalibBase::CalibBase::get_times2_maturity()</a>, <a class="el" href="CalibVolCurve_8py_source.html#l00154">m_indx</a>, and <a class="el" href="CalibVolCurve_8py_source.html#l00154">m_time_spacing</a>.</p>

</div>
</div>
<a class="anchor" id="acff9c54af5c76f2db6349e494da72665"></a><!-- doxytag: member="models::CalibVolCurve::CalibVolCurve::get_cal_data" ref="acff9c54af5c76f2db6349e494da72665" args="" -->
<div class="memitem">
<div class="memproto">
      <table class="memname">
        <tr>
          <td class="memname">def models::CalibBase::CalibBase::get_cal_data </td>
          <td>(</td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>self</em></td><td>)</td>
          <td><code> [inherited]</code></td>
        </tr>
      </table>
</div>
<div class="memdoc">
<div class="fragment"><pre class="fragment">
    Strike, Price, Time, Style, Contract
</pre></div> 
<p>Definition at line <a class="el" href="CalibBase_8py_source.html#l00081">81</a> of file <a class="el" href="CalibBase_8py_source.html">CalibBase.py</a>.</p>

<p>References <a class="el" href="CalibBase_8py_source.html#l00064">models::CalibBase::CalibBase::m_contract</a>, <a class="el" href="CalibBase_8py_source.html#l00064">models::CalibBase::CalibBase::m_int_rate</a>, <a class="el" href="CalibBase_8py_source.html#l00064">models::CalibBase::CalibBase::m_prices</a>, <a class="el" href="CalibBase_8py_source.html#l00064">models::CalibBase::CalibBase::m_strikes</a>, <a class="el" href="CalibBase_8py_source.html#l00064">models::CalibBase::CalibBase::m_style</a>, and <a class="el" href="CalibBase_8py_source.html#l00064">models::CalibBase::CalibBase::m_t2maturity</a>.</p>

<p>Referenced by <a class="el" href="CalibVolCurve_8py_source.html#l00088">set_market_value()</a>.</p>

</div>
</div>
<a class="anchor" id="a411a46af43861f780e7ef9e38cc6ed0d"></a><!-- doxytag: member="models::CalibVolCurve::CalibVolCurve::get_price_range" ref="a411a46af43861f780e7ef9e38cc6ed0d" args="" -->
<div class="memitem">
<div class="memproto">
      <table class="memname">
        <tr>
          <td class="memname">def models::CalibVolCurve::CalibVolCurve::get_price_range </td>
          <td>(</td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>self</em></td><td>)</td>
          <td></td>
        </tr>
      </table>
</div>
<div class="memdoc">
<div class="fragment"><pre class="fragment">get prince range. </pre></div> 
<p>Definition at line <a class="el" href="CalibVolCurve_8py_source.html#l00077">77</a> of file <a class="el" href="CalibVolCurve_8py_source.html">CalibVolCurve.py</a>.</p>

</div>
</div>
<a class="anchor" id="ab9df3a3bfcfba87c5d96e54b9f94835a"></a><!-- doxytag: member="models::CalibVolCurve::CalibVolCurve::get_times2_maturity" ref="ab9df3a3bfcfba87c5d96e54b9f94835a" args="" -->
<div class="memitem">
<div class="memproto">
      <table class="memname">
        <tr>
          <td class="memname">def models::CalibBase::CalibBase::get_times2_maturity </td>
          <td>(</td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>self</em></td><td>)</td>
          <td><code> [inherited]</code></td>
        </tr>
      </table>
</div>
<div class="memdoc">
<div class="fragment"><pre class="fragment">get time to maturity. </pre></div> 
<p>Definition at line <a class="el" href="CalibBase_8py_source.html#l00088">88</a> of file <a class="el" href="CalibBase_8py_source.html">CalibBase.py</a>.</p>

<p>References <a class="el" href="CalibBase_8py_source.html#l00064">models::CalibBase::CalibBase::m_t2maturity</a>.</p>

<p>Referenced by <a class="el" href="CalibVolCurve_8py_source.html#l00154">calibrate()</a>, and <a class="el" href="CalibVolCurve_8py_source.html#l00088">set_market_value()</a>.</p>

</div>
</div>
<a class="anchor" id="abee35903e5200a02d90cf161bae1573d"></a><!-- doxytag: member="models::CalibVolCurve::CalibVolCurve::set_cal_data" ref="abee35903e5200a02d90cf161bae1573d" args="" -->
<div class="memitem">
<div class="memproto">
      <table class="memname">
        <tr>
          <td class="memname">def models::CalibBase::CalibBase::set_cal_data </td>
          <td>(</td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>self</em>, </td>
        </tr>
        <tr>
          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>strikes</em>, </td>
        </tr>
        <tr>
          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>prices</em>, </td>
        </tr>
        <tr>
          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>interest_rate</em>, </td>
        </tr>
        <tr>
          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>time2_mat</em>, </td>
        </tr>
        <tr>
          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>style</em>, </td>
        </tr>
        <tr>
          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>contract</em>&#160;</td>
        </tr>
        <tr>
          <td></td>
          <td>)</td>
          <td></td><td><code> [inherited]</code></td>
        </tr>
      </table>
</div>
<div class="memdoc">
<div class="fragment"><pre class="fragment">set data for calibration.
    1.- strike prices.
    2.- contract present value.
    3.- interest rates.
    4.- time to maturity.
    5.- American, European, Bermudam.
    6.- Put, Call
</pre></div> 
<p>Definition at line <a class="el" href="CalibBase_8py_source.html#l00057">57</a> of file <a class="el" href="CalibBase_8py_source.html">CalibBase.py</a>.</p>

<p>References <a class="el" href="CalibBase_8py_source.html#l00064">models::CalibBase::CalibBase::m_contract</a>, <a class="el" href="CalibBase_8py_source.html#l00064">models::CalibBase::CalibBase::m_int_rate</a>, <a class="el" href="CalibBase_8py_source.html#l00064">models::CalibBase::CalibBase::m_prices</a>, <a class="el" href="CalibBase_8py_source.html#l00064">models::CalibBase::CalibBase::m_strikes</a>, <a class="el" href="CalibBase_8py_source.html#l00064">models::CalibBase::CalibBase::m_style</a>, and <a class="el" href="CalibBase_8py_source.html#l00064">models::CalibBase::CalibBase::m_t2maturity</a>.</p>

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</div>
<a class="anchor" id="a15578658af11bec4ed2f0efab4d69691"></a><!-- doxytag: member="models::CalibVolCurve::CalibVolCurve::set_cal_method" ref="a15578658af11bec4ed2f0efab4d69691" args="" -->
<div class="memitem">
<div class="memproto">
      <table class="memname">
        <tr>
          <td class="memname">def models::CalibBase::CalibBase::set_cal_method </td>
          <td>(</td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>self</em>, </td>
        </tr>
        <tr>
          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>cal_method</em>&#160;</td>
        </tr>
        <tr>
          <td></td>
          <td>)</td>
          <td></td><td><code> [inherited]</code></td>
        </tr>
      </table>
</div>
<div class="memdoc">
<div class="fragment"><pre class="fragment">set calibration method. </pre></div> 
<p>Definition at line <a class="el" href="CalibBase_8py_source.html#l00108">108</a> of file <a class="el" href="CalibBase_8py_source.html">CalibBase.py</a>.</p>

<p>References <a class="el" href="CalibBase_8py_source.html#l00116">models::CalibBase::CalibBase::_cost_function()</a>, <a class="el" href="CalibBase_8py_source.html#l00043">models::CalibBase::CalibBase::m_cali_method</a>, <a class="el" href="CalibBase_8py_source.html#l00098">models::CalibBase::CalibBase::m_der</a>, <a class="el" href="CalibBase_8py_source.html#l00103">models::CalibBase::CalibBase::m_hess</a>, <a class="el" href="CalibBase_8py_source.html#l00093">models::CalibBase::CalibBase::m_impvol</a>, and <a class="el" href="CalibBase_8py_source.html#l00043">models::CalibBase::CalibBase::m_xtol</a>.</p>

</div>
</div>
<a class="anchor" id="a1f81ab18e9b85903f4ae6441e1384693"></a><!-- doxytag: member="models::CalibVolCurve::CalibVolCurve::set_grid_spacing" ref="a1f81ab18e9b85903f4ae6441e1384693" args="" -->
<div class="memitem">
<div class="memproto">
      <table class="memname">
        <tr>
          <td class="memname">def models::CalibVolCurve::CalibVolCurve::set_grid_spacing </td>
          <td>(</td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>self</em>, </td>
        </tr>
        <tr>
          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>nt_intervals</em>, </td>
        </tr>
        <tr>
          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>ntime_steps</em>&#160;</td>
        </tr>
        <tr>
          <td></td>
          <td>)</td>
          <td></td><td></td>
        </tr>
      </table>
</div>
<div class="memdoc">
<div class="fragment"><pre class="fragment">grid as used for calibration engine. </pre></div> 
<p>Definition at line <a class="el" href="CalibVolCurve_8py_source.html#l00082">82</a> of file <a class="el" href="CalibVolCurve_8py_source.html">CalibVolCurve.py</a>.</p>

<p>References <a class="el" href="CalibVolCurve_8py_source.html#l00059">m_ntime_steps</a>.</p>

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<a class="anchor" id="ac435434054075cfced0f2f0ff74b9d5e"></a><!-- doxytag: member="models::CalibVolCurve::CalibVolCurve::set_initial_guess" ref="ac435434054075cfced0f2f0ff74b9d5e" args="" -->
<div class="memitem">
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      <table class="memname">
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          <td class="memname">def models::CalibBase::CalibBase::set_initial_guess </td>
          <td>(</td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>self</em>, </td>
        </tr>
        <tr>
          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>initial_guess</em>&#160;</td>
        </tr>
        <tr>
          <td></td>
          <td>)</td>
          <td></td><td><code> [inherited]</code></td>
        </tr>
      </table>
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<div class="memdoc">
<div class="fragment"><pre class="fragment">set initial guess. </pre></div> 
<p>Definition at line <a class="el" href="CalibBase_8py_source.html#l00093">93</a> of file <a class="el" href="CalibBase_8py_source.html">CalibBase.py</a>.</p>

<p>References <a class="el" href="CalibBase_8py_source.html#l00098">models::CalibBase::CalibBase::m_der</a>, <a class="el" href="CalibBase_8py_source.html#l00103">models::CalibBase::CalibBase::m_hess</a>, and <a class="el" href="CalibBase_8py_source.html#l00093">models::CalibBase::CalibBase::m_impvol</a>.</p>

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<a class="anchor" id="a8b0a103dada82a4a1a53972dca6d501a"></a><!-- doxytag: member="models::CalibVolCurve::CalibVolCurve::set_market_value" ref="a8b0a103dada82a4a1a53972dca6d501a" args="" -->
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          <td class="memname">def models::CalibVolCurve::CalibVolCurve::set_market_value </td>
          <td>(</td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>self</em>, </td>
        </tr>
        <tr>
          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype">&#160;</td>
          <td class="paramname"><em>opt_prices</em>&#160;</td>
        </tr>
        <tr>
          <td></td>
          <td>)</td>
          <td></td><td></td>
        </tr>
      </table>
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<div class="fragment"><pre class="fragment">observe option prices </pre></div> 
<p>Definition at line <a class="el" href="CalibVolCurve_8py_source.html#l00088">88</a> of file <a class="el" href="CalibVolCurve_8py_source.html">CalibVolCurve.py</a>.</p>

<p>References <a class="el" href="CalibVolCurve_8py_source.html#l00121">__price_options()</a>, <a class="el" href="CalibVolCurve_8py_source.html#l00093">__price_single_option()</a>, <a class="el" href="CalibBase_8py_source.html#l00081">models::CalibBase::CalibBase::get_cal_data()</a>, <a class="el" href="CalibBase_8py_source.html#l00088">models::CalibBase::CalibBase::get_times2_maturity()</a>, <a class="el" href="CalibVolCurve_8py_source.html#l00154">m_indx</a>, <a class="el" href="CalibVolCurve_8py_source.html#l00059">m_lagrange2</a>, <a class="el" href="CalibVolCurve_8py_source.html#l00059">m_market_val</a>, <a class="el" href="CalibVolCurve_8py_source.html#l00059">m_ntime_steps</a>, and <a class="el" href="CalibVolCurve_8py_source.html#l00154">m_time_spacing</a>.</p>

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<hr/>The documentation for this class was generated from the following file:<ul>
<li><a class="el" href="CalibVolCurve_8py_source.html">CalibVolCurve.py</a></li>
</ul>
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